Forecasting Inflation in Chile Using State-Space and Regime-Switching Models PDF Download
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Author: Mr.Francisco Nadal De Simone
Publisher: INTERNATIONAL MONETARY FUND
ISBN: 9781451857863
Category : Business & Economics
Languages : en
Pages : 54
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Book Description
The paper estimates two time-varying parameter models of Chilean inflation: a Phillips curve model and a small open economy model. Their out-of-sample forecasts are compared with those of simple Box-Jenkins models. The main findings are; forecasts that include the pre-announced inflation target as a regressor are relatively better; the Phillips curve model outperforms the small open economy model in out-of-sample forecasts; and although Box-Jenkins models outperform the two models for short-term out-of-sample forecasts, their superiority deteriorates in longer forecasts. Adding a Markov-switching process to the models does not explain much of the conditional variance of the forecast errors.
Author: Mr.Francisco Nadal De Simone
Publisher: INTERNATIONAL MONETARY FUND
ISBN: 9781451857863
Category : Business & Economics
Languages : en
Pages : 54
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Book Description
The paper estimates two time-varying parameter models of Chilean inflation: a Phillips curve model and a small open economy model. Their out-of-sample forecasts are compared with those of simple Box-Jenkins models. The main findings are; forecasts that include the pre-announced inflation target as a regressor are relatively better; the Phillips curve model outperforms the small open economy model in out-of-sample forecasts; and although Box-Jenkins models outperform the two models for short-term out-of-sample forecasts, their superiority deteriorates in longer forecasts. Adding a Markov-switching process to the models does not explain much of the conditional variance of the forecast errors.
Author:
Publisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages :
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Book Description
The International Monetary Fund (IMF) presents the full text of an article entitled "Forecasting Inflation in Chile Using State-space and Regime-switching Models," by Francisco Nadal-De Simone and published October 2000. The article discusses two models of Chilean inflation: a Phillips curve model and a small open economy model. Findings suggest that forecasts that include the preannounced inflation target as a regressor are relatively better and the Phillips curve model outperforms the small open economy model in out-of-sample forecasts.
Author: Azman Ismail
Publisher: Springer Nature
ISBN: 3030899888
Category : Technology & Engineering
Languages : en
Pages : 473
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Book Description
This book covers several research outcomes of various fields and schools related to maritime operation, applications and materials science. Thirty-four research papers have been compiled from the 2nd International Conference on Marine and Advanced Technologies 2021 (ICMAT 2021) which was organized by the Research and Innovation Section of the Universiti Kuala Lumpur-MIMET. The chapters were written by experienced lecturers from various universities in Malaysia discussing various topics and sub-topics related to maritime engineering and materials science. These chapters portray the actual knowledge on the latest developments and trends of technologies in maritime industries.
Author: Mr.Christian A Johnson
Publisher: International Monetary Fund
ISBN: 148436497X
Category : Business & Economics
Languages : en
Pages : 42
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Book Description
Potential Output is a key factor for debt sustaintability analysis and for developing strategies for growth, but unfortunately it is an unobservable variable. Using three methodologies (production function, switching, and state-space), this paper computes potential output for CAPDR countries using annual data. Main findings are: i) CAPDR potential growth is about 4.4 percent while output gap volatility is about 1.9 percent; ii) The highest-potential growth country is Panama (6.5 percent) while the lowest-growth country is El Salvador (2.6 percent); iii) CAPDR business cycle is about eigth years.
Author:
Publisher:
ISBN:
Category : Chile
Languages : en
Pages : 180
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Book Description
Author: Chang-Jin Kim
Publisher: Mit Press
ISBN: 9780262112383
Category : Business & Economics
Languages : en
Pages : 297
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Book Description
Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbs-sampling to simulate posterior distributions from data.The authors present numerous applications of these approaches in detail: decomposition of time series into trend and cycle, a new index of coincident economic indicators, approaches to modeling monetary policy uncertainty, Friedman's "plucking" model of recessions, the detection of turning points in the business cycle and the question of whether booms and recessions are duration-dependent, state-space models with heteroskedastic disturbances, fads and crashes in financial markets, long-run real exchange rates, and mean reversion in asset returns.
Author:
Publisher:
ISBN:
Category : Chile
Languages : en
Pages : 186
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Book Description
Author: Ilker Domaç
Publisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 48
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Book Description
Author: Madhavi Bokil
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 46
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Book Description
This paper presents three empirical approaches to forecasting inflation in Pakistan. The preferred approach is a leading indicators model in which broad money growth and private sector credit growth help forecast inflation. A univariate approach also yields reasonable forecasts, but seems less suited to capturing turning points. A vector autoregressive (VAR) model illustrates how monetary developments can be described by a Phillips-curve type relationship. We deal with potential parameter instability on account of fundamental changes in Pakistan's economic system by restricting our sample to more recent observations. Gregorian and Islamic calendar seasonality are addressed by using 12-month moving averages.
Author:
Publisher:
ISBN:
Category : International finance
Languages : en
Pages : 244
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Book Description
